汇率变动对我国股票市场的影响研究

发布时间：2018-01-22 12:14

本文关键词： 人民币汇率美元汇率股票市场行业属性　出处：《西南财经大学》2010年博士论文　论文类型：学位论文

【摘要】：20世纪70年代以来,随着浮动汇率制度的推行,汇率变动对股票市场的影响成为各国学者和业界广泛关注的重要课题。加强汇率变动对股票市场影响的研究,对投资者资产配置、跨国公司降低资本成本,货币当局采取适当的货币政策措施,减缓金融资产价格波动对金融市场的冲击,实现宏观经济稳定具有重要意义。在经济全球化、大宗商品定价国际化背景下,汇率变动对一国经济和股票市场的影响是本币汇率变动和大宗商品主要定价货币汇率变动共同作用的结果。美元在二战后取代英镑成为国际贸易和国际期货市场的核心定价货币。因此,研究汇率变动对股票市场的影响不应局限于本币汇率,应将美元汇率变动也纳入其中,以全面反映-国股票市场的汇率风险状况。 20世纪90年代以来,我国经济与外部经济的联系日益紧密,国内市场对全球市场的依赖性逐步增强,美元汇率变动引发的大宗商品价格波动对国内经济和股票市场的影响不断深化。2005年7月21日人民币汇率形成机制改革启动,人民币汇率浮动区间不断加大,人民币汇率变动对股票市场的影响也开始显现。从美元和人民币汇率的波动幅度来看,人民币汇率变动无法完全覆盖美元汇率变动引发的大宗商品价格波动给国内经济和股票市场带来的风险。因此,研究汇率变动对国内股市影响时,应将两种货币汇率变化考虑在内。这对于市场机制不完善、抗冲击能力弱的新兴股票市场而言,意义重大。本文在前人研究的基础上,进一步对汇率变动对股票市场作用机制和决定因素进行深入研究,并对汇率变动对股票市场影响估计模型的发展和研究方法的演进进行探讨,在此基础上提出适合于我国市场的估计模型。之后,运用2005年7月21日-2008年12月31日人民币汇率和美元指数变动的数据,对汇率变动对我国股票市场、行业、上市公司的影响分别进行检验。最后,在上述理论和实证研究的基础上,总结出本文的结论。本论文共分为6章,第1章,导论。该部分主要阐述本研究的背景与意义、国内外相关文献综述、研究方法、文章的结构以及本文的创新与不足之处。第2章,汇率变动对股票市场影响的理论基础。本章从汇率变动对公司影响即公司外汇风险暴露的定义入手,系统地分析汇率变动对股票市场的作用机制和决定因素。提出汇率变动通过资产组合机制、大宗商品价格机制、贸易机制、利率机制和物价机制作用于股票市场。汇率变动的作用程度则取决于汇率制度、定价货币以及大宗商品的定价权、竞争、公司的外部经济活动、公司规模和衍生金融工具等。第3章,汇率变动对股票市场影响的估计模型及研究方法的演进。汇率变动对股票市场影响估计模型是在公司外汇风险暴露模型基础上向市场层次扩展的。从研究方法演进来看,对双边汇率和有效汇率的设定、市场组合回报的选择及其与汇率因素的多重共线性、时变性、不对称和非线性设定等问题的争论使得该领域的研究不断进步,但迄今为止,尚没有一个模型能够将汇率冲击对股票市场和上市公司的复杂影响因素囊括其中。第4章,我国外汇市场与股票市场发展以及国内外股票市场的联动。在本章中,首先,对我国外汇市场与股票市场发展以及人民币汇率形成机制改革和股权分置改革进行了分析和阐述,指出在人民币汇率形成机制改革之后,人民币汇率浮动区间将不断加大,股票市场逐步开放,股票市场面临的外汇风险增加。其次,本文分析了我国股票市场与国际股票市场的联动性,认为经济和金融全球化条件下,国内股市已经与国际市场表现出一定程度的联动性。因此,分析汇率变动对我国股票市场影响时应将国际股票市场考虑在内。第5章,汇率变动对我国股票市场影响的实证研究。为了防止单纯市场层次研究对行业和上市公司之间外汇风险差异的抹杀,本章对2005年7月21日-2008年12月31日间汇率变动对我国市场、行业和公司的影响分别进行研究。在市场层次的研究中,本文对Chue-Cook两因素国际资产定价模型进行了扩展,引入美元指数变量和广义货币供应量变量。在行业层次的研究中,本人根据经济理论,提出了4个假设,用以检验行业属性对行业汇率风险的影响。估计模型的设定中,本人对Jorion的资本市场模型进行了改进,在我国股票市场收益率和人民币汇率变量的基础上引入美元指数变量,并运用月数据对汇率变动对各行业的影响以及行业属性的作用进行验证。在公司层次的研究中,使用的是Jorion的资本市场模型,在对公司外汇风险暴露进行检验的基础上,本人对公司规模、外销比例、速动比率和长期负债比率以及市价账面比对公司外汇风险暴露的影响进行了检验。在行业和公司层次的研究中,由于模型中引入了市场收益率,而市场因素包含了市场层次的汇率风险,因此,模型估计得到的汇率系数衡量的是超过市场层次之外的行业或公司的剩余汇率风险。在以上理论和实证研究的基础上,第6章总结出本文的研究结论：从股票市场层次来看,人民币升值将导致股票市场收益率下降,从汇率形式来看,有效汇率比双边汇率对市场的影响更为显著；从子样本分析来看,人民币升值对股市具有提振作用存在于特定阶段,在2007年8月后,这一作用被消极作用所取代。美元贬值将导致我国股票市场收益率下降,但这种影响在整个样本期间并不显著,2007年8月以后美元汇率变动幅度加大,这种影响开始显著。因此,在一定条件下,国内市场面临人民币升值和美元贬值带来的双重冲击。就行业层次而言,人民币升值使得47%的行业受到显著影响,美元贬值使得25%的行业受到显著影响,且多数行业受到人民币升值或美元贬值的负向冲击。行业属性是汇率对行业影响的重要决定因素。竞争性行业受汇率影响的程度明显高于垄断性行业,说明垄断行业的风险转嫁能力较强；美元贬值使得国内采掘业受益,石化业、金属业、造纸和运输等行业受到负面冲击；美元贬值导致的大宗原材料价格上涨使得进口行业在人民币升值中受益并不明显,出口产品技术含量低使得人民币升值对出口行业带来冲击。就公司层次而言,我国存在显著的外汇风险暴露的公司比例达到36%,要高于发达国家,且多数公司受到人民币升值的负向冲击,说明我国上市公司的避险意识和避险能力不强。从外汇风险暴露决定因素来看,外销比例、账面市价比和长期负债比例对外汇风险暴露系数有显著影响,说明公司规模和流动性状况并不是财务避险决策的主要决定因素,公司采取套期保值活动更多是出于减少汇率变动对外部销售收入、债务还本付息的冲击。然后,本文对上述结论的成因进行了深入分析,认为汇率变动对我国股票市场影响是资产组合调整、贸易机制效应、利率机制的累积效应以及美元贬值引发的大宗商品价格上涨导致的全球性的通胀与国内外经济形势相结合共同作用的结果；而国际定价话语权的缺失、人民币非结算货币、人民币汇率形成机制改革配套措施不到位、商业银行避险服务有待加强、企业技术水平低和定价能力弱、外汇风险的防范意识和防范能力不强等则是我国企业外汇风险暴露程度高于发达国家的主要原因。在此基础上,本文提出了相应的对策。从市场层次而言,应构建跨境资金流动预警体系,防止跨境资金突发流动；推进人民币汇率形成机制改革,完善相关配套措施；大力发展外汇衍生品市场；加强股票市场稳定机制建设,提高其抵御风险的能力。就企业层次而言,应采取多种措施,增强国内企业定价能力；增加人民币结算支付；实现经营与融资多元化；综合运用各种汇率避险工具；培养企业避险意识,加快专业人才队伍建设等。本文可能的创新主要包括以下几点：首先,以往关于汇率变动的研究都局限于本币汇率变动,本文中的汇率变动综合考虑本币汇率和大宗商品主要定价货币即美元汇率变动,这对于汇率波动幅度有待提高、对全球市场依赖程度较高的我国而言,更具现实意义。在理论分析中本文对汇率变动对股票市场的资产组合机制、大宗商品价格机制、贸易机制、利率机制和物价机制进行了系统的论述,在此基础上探讨汇率变动对股票市场影响程度的决定因素,从而将汇率对股票市场影响的宏观理论分析与微观基础结合在一起,避免了宏观分析与微观分析相分离的问题。其次,在分析汇率变动对市场层次的影响时,本文以Chue-Cook两因素国际资产定价模型为基础,综合考虑我国汇率波动幅度较小,股票市场对外开放层次较低等因素,日度数据的估计模型在人民币汇率的基础上引入了美元指数变量,以考察美元指数变动引发的大宗商品价格变动对国内市场的影响；月度数据估计模型在日数据模型的基础上又引入了广义货币供应量变量,从而减轻了模型估计中的遗漏变量问题,提高了模型的解释能力。此外,在汇率变动对各行业影响的研究中,本文在Jorion的资本市场模型的基础上引入了美元指数变量,从而能够全面反映人民币汇率变动和美元指数变动引发的大宗商品价格波动对各行业影响的差异。第三,本文从股票市场、行业和上市公司的角度对汇率变动对我国股票市场的影响进行多层面分析,能够对汇率变化对股票市场总体和结构影响进行全面系统的诠释,从而避免了单纯市场层次分析无法反映行业之间和公司之间汇率风险差异的问题,以期对投资者资产组合选择、货币当局采取适当的货币政策措施,以及人民币汇率形成机制改革的进一步推进提供决策依据。
[Abstract]:Since the 1970s , with the implementation of floating exchange rate system , the influence of exchange rate on the stock market has become an important subject of extensive concern among scholars and industry . In the background of economic globalization and commodity pricing internationalization , the effect of exchange rate change on the economy and stock market of a country is the core pricing currency of international trade and international futures market . Since 1990 ' s , China ' s economy and external economy have become more and more closely , the domestic market has gradually strengthened the dependence of the global market , and the fluctuation of the exchange rate of the United States dollar on the domestic economy and the stock market has been deepened . On the basis of the previous research , the paper further studies the mechanism and determinants of exchange rate change on stock market , and discusses the development of the model and the evolution of the research method of the influence of exchange rate on the stock market . After that , the influence of exchange rate fluctuation on the stock market , industry and listed company of our country is tested by using the data of RMB exchange rate and dollar index change from July 21 , 2005 to December 31 , 2008 . Finally , based on the above theory and the empirical research , the conclusion of this paper is summarized . This thesis is divided into six chapters , Chapter 1 , Introduction . This part mainly expounds the background and significance of the study , the review of relevant literatures at home and abroad , the research methods , the structure of the articles and the innovation and deficiency of this paper . In the light of the evolution of the research method , there is no model to include the impact of the exchange rate on the stock market and the complex influence factors of the listed companies . Chapter 4 , China ' s foreign exchange market and stock market development and the linkage of the stock market at home and abroad . In this chapter , firstly , we analyze and expound the reform of China ' s foreign exchange market and stock market and the reform of RMB exchange rate formation mechanism and the reform of stock exchange . In the research of the market level , I put forward four assumptions about the influence of industry attributes on the risk of foreign exchange risk in China . In the research of the market level , I put forward four assumptions to test the influence of industry attribute on the risk of foreign exchange risk . Based on the above theoretical and empirical studies , Chapter 6 summarizes the conclusions of the study : From the stock market level , the appreciation of RMB will lead to a decline in the stock market yield . From the perspective of the exchange rate , the effective exchange rate is more significant than the bilateral exchange rate on the market . From the analysis of the sub - sample , the effect is replaced by the negative effect . In August 2007 , the effect is replaced by the negative effect . In August 2007 , this effect is not significant . After August 2007 , the exchange rate of the United States dollar is increased , which is beginning to be significant . Therefore , under certain conditions , the domestic market is faced with double impact caused by the appreciation of RMB and the depreciation of the dollar . In terms of the industry level , the appreciation of RMB makes the industry of 47 % significant , the depreciation of the United States dollar makes 25 % of the industry suffer a significant impact , and most industries are affected by RMB appreciation or the negative impact of the depreciation of the United States dollar . The industry attribute is the important determinant of the impact of exchange rate on the industry . The depreciation of the United States dollar makes the domestic extractive industries benefit , the petrochemical industry , the metal industry , the paper making and transportation industries are affected by the negative impact ; the depreciation of the United States dollar has caused the import industry to benefit from the appreciation of the RMB , the export product technical content is low so that the appreciation of the renminbi has impact on the export industry . At the level of the company , the proportion of companies with significant foreign exchange risk exposure is 36 % , higher than that of developed countries , and most companies are affected by the negative impact of RMB appreciation . Then , this paper makes an in - depth analysis on the causes of the above conclusion . It is believed that the impact of exchange rate fluctuation on China ' s stock market is the result of the combination of global inflation and domestic and foreign economic situation due to the combination of asset combination adjustment , trade mechanism effect , interest rate mechanism and commodity price increase caused by the depreciation of the United States dollar . On the basis of this , the corresponding countermeasures are put forward . From the market level , the cross - border fund flow early warning system should be constructed to prevent cross - border capital sudden flow ; to promote the reform of RMB exchange rate formation mechanism and to improve its ability to resist risks . Possible innovations of this article include the following points : Firstly , the past research on exchange rate fluctuation is limited to the currency exchange rate fluctuation . The exchange rate fluctuation in this paper takes into account the exchange rate of the currency and the main pricing currency of commodities , that is , the exchange rate of the United States dollar , which is more practical for our country with higher dependence on the global market . In the theoretical analysis , this paper discusses the determinants of the influence degree of exchange rate on the stock market , and then combines the macro - theoretical analysis and the micro - foundation of the influence of exchange rate on the stock market , and avoids the problem of the separation of macro - analysis and microscopic analysis . Secondly , based on Chue - Cook ' s two - factor international asset pricing model , this paper takes Chue - Cook ' s two - factor international asset pricing model as the basis , considering the factors such as the small amplitude of the exchange rate and the lower opening level of the stock market . Third , from the angle of stock market , industry and listed company , this paper makes a multi - level analysis on the influence of exchange rate change on stock market in our country .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2010
【分类号】：F832.6;F832.51;F224

【引证文献】